The main problem is that your function is not vectorized. Here is one
solution:
> require(mvtnorm)
> f=function(x){ sapply(x, function(y) {dmvnorm(c(0.6, 0.8), mean=c(0.75,
0.75/y))*dnorm(y, mean=0.6, sd=0.15)}) }
> integrate(f, lower=-Inf, upper=Inf)
0.1314427 with absolute error < 4e-05
>
Hope this helps,
Ravi.
-----Original Message-----
From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
Behalf Of Carrie Li
Sent: Wednesday, June 23, 2010 7:06 PM
To: r-help
Subject: [R] integrate dmvtnorm
Hello, everyone,
I have a question about integration of product of two densities.
Here is the sample code; however the mean of first density is a function of
another random variable, which is to be integrated.
##
f=function(x) {dmvnorm(c(0.6, 0.8), mean=c(0.75, 0.75/x))*dnorm(x, mean=0.6,
sd=0.15)}
integrate(f, lower=-Inf, upper=Inf)
## error message
Error in dmvnorm(c(0.6, 0.8), mean = c(0.75, 0.75/x)) :
mean and sigma have non-conforming size
I think it's because the mean in dmvnorm is a function of x....
is there any package or function to handle this question ?
Thanks for any help!
Carrie
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